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Trading System: improve it with 3 Exit


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Trading System: improve it with 3 Exit

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  #1 (permalink)
Shaban
Turin + Italy
 
 
Posts: 118 since Feb 2020
Thanks: 14 given, 67 received

Good morning,

in my archive, I found this Trading System, and the author recommended to do tests with 3 Exit, to improve the efficiency and robustness of the T.S.
If someone could kindly transform the 3 Exit into Easylanguage and insert them into the formula, which I will try one at a time with the use of parentheses: { }.

These are the 3 Exit to be included in the formula; I will also turn them into: (after SellShort): Exit ....:


(after Buy): Exit with a profit after 30 bars, if the closing is less than the exponential moving average of 5 days.
(after Buy): Exit with a limit order if the open profit exceeds 20%.
(after Buy): Exit with a profit if the trade lasts for more than 50 bars.


This is the formula of the T.S. for Tradestation 8 or higher:
-----------------------------------------------------------------

Inputs: length(30), MaxEntryLB(60), MinEntryLB(20), MaxExitLB(30), MinExitLB(10);
Vars: HistVol(O), YestHistVol(O), DeltaHistVol(O), EntryLB(O), ExitLB(O),
YestEntryLB(O), YestExitLB(O);

YestHistVol = HistVol;
HistVol = StdDev(C, length);
DeltaHistVol = (HistVol-YestHistVol) / HistVol;
If CurrentBar = 1 Then EntryLB = 20;
YestEntryLB = EntryLB;
EntryLB = YestEntryLB * (1 + DeltaHistVol);
EntryLB = MaxList(EntryLB, MinEntryLB);
EntryLB = MinList(EntryLB, MaxEntryLB);
YestExitLB = ExitLB;
ExitLB = YestExitLB * (1 - DeltaHistVol);
ExitLB = MinList(ExitLB, MaxExitLB);
ExitLB = MaxList(ExitLB, MinExitLB);
Buy next bar at Highest(High, EntryLB) Stop;
Sellshort next bar at Lowest(Low, EntryLB) Stop;
Sell next bar at Lowest(Low, ExitLB) Stop;
Buytocover next bar at Highest(High, ExitLB) Stop;
Setstoploss(1500);

------------------------------------------------------------------------------

I thank you in advance for your collaboration.

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  #3 (permalink)
Tom1978
Houston Texas
 
 
Posts: 14 since Dec 2019
Thanks: 6 given, 10 received


Only after buy? Not after entering a short position?

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  #4 (permalink)
Shaban
Turin + Italy
 
 
Posts: 118 since Feb 2020
Thanks: 14 given, 67 received


Tom1978 View Post
Only after buy? Not after entering a short position?

Hi,
yes, of course, also Sellshort (I would have done it , for not to disturb you too much).
Thank you very much.

------------------------------------------------

{after Buy}: Exit with a profit after 30 bars, if the closing is less than the exponential moving average of 5 days.
{after Sellshort}: Exit with a profit after 30 bars, if the closing is higher than the exponential moving average of 5 days.

{after Buy}: Exit with a limit order if the open profit exceeds 20%.
{after Sellshort}: Exit with a limit order if the open profit exceeds 20%.

{after Buy}: Exit with a profit if the trade lasts for more than 50 bars.
{after Sellshort}: Exit with a profit if the trade lasts for more than 50 bars.

--------------------------------------------------

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  #5 (permalink)
Tom1978
Houston Texas
 
 
Posts: 14 since Dec 2019
Thanks: 6 given, 10 received

Something like this?

{after Buy}: Exit with a profit after 30 bars, if the closing is less than the exponential moving average of 5 days.
What do you do your trade is profitable after 30 bars, but closing > mov avg 5 days?

{after Sellshort}: Exit with a profit after 30 bars, if the closing is higher than the exponential moving average of 5 days.

{after Buy}: Exit with a limit order if the open profit exceeds 20%.
You can use setprofittarget, but what is the 20%? 20% of what?

{after Sellshort}: Exit with a limit order if the open profit exceeds 20%.

{after Buy}: Exit with a profit if the trade lasts for more than 50 bars.
if marketposition = 1 and barssinceentry = 50 and close>entryprice then sell this bar at close; //market order
or
if marketposition = 1 and barssinceentry = 50 then sell next bar at entryprice limit; //limit order
And what are you going to do if the trade is not profitable after 50 bars?

{after Sellshort}: Exit with a profit if the trade lasts for more than 50 bars.

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  #6 (permalink)
Shaban
Turin + Italy
 
 
Posts: 118 since Feb 2020
Thanks: 14 given, 67 received

For Tom 1978,

You have a PM.

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  #7 (permalink)
Tom1978
Houston Texas
 
 
Posts: 14 since Dec 2019
Thanks: 6 given, 10 received


Shaban View Post
For Tom 1978,

You have a PM.

You've got one too!

All the best,
Tom

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  #8 (permalink)
Shaban
Turin + Italy
 
 
Posts: 118 since Feb 2020
Thanks: 14 given, 67 received

Hi Tom,

You have another P.M.

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  #9 (permalink)
Shaban
Turin + Italy
 
 
Posts: 118 since Feb 2020
Thanks: 14 given, 67 received

If it may be useful to someone, I insert here the 3 Exit translated in Esylanguage (thanks to Tom 1978):

If marketposition=1 and close>entryprice and barssinceentry=30 and close<xaverage(close,5) then Sell("LX 30") next bar at market;
If marketposition=-1 and close<entryprice and barssinceentry=30 and close>xaverage(close,5) then Buytocover("SX 30") next bar at market;

If marketposition=1 and close>1.20*Entryprice then Sell("LX target") this bar at close;
If marketposition=-1 and close<0.8*Entryprice then Buytocover("SX target") this bar at close;

If marketposition=1 and close>entryprice and barssinceentry=50 then Sell("LX 50") this bar at close;
If marketposition=-1 and close<entryprice and barssinceentry=50 then Buytocover("SX 50") this bar at close;

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  #10 (permalink)
Tom1978
Houston Texas
 
 
Posts: 14 since Dec 2019
Thanks: 6 given, 10 received


Hi Shaban,

Did the 3 additional exits work the way you want them to?

Tom

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